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Order Size Interval

A useful feature may be to determine the normal frequency of round-sized trades, and monitor deviations from that expected value. The ML algorithm could, for example, determine if a larger-than-usual proportion of round-sized trades is associated with trends, as human traders tend to bet with a fundamental view, belief, or conviction. Conversely, a lower-than-usual proportion of round-sized trades may increase the likelihood that prices will move sideways, as silicon traders do not typically hold long-term views.


This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book, Page 293.

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Version 1.3 2019.04.16
Timeout filter, 3 ranges counter, 5 equal counter
Version 1.1 2019.04.16
Added HZ measure, and a greater (>) volume counter, added count/total trades measured